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Table 1 Initial parameter estimates for the multi-regime filtering algorithm

From: A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach

\(\nu \) \(\zeta \) \(\xi \) \(\pi _{1}\)
0.9682 0.1225 0.2596 0.5
  1. The same values are used for all regimes (e.g., \(\nu =\nu _1=\nu _2\), etc.)